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A comparison of market risk measures from a twofold perspective: accurate and loss function
(Elsevier, 2023-06-04) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
A cryptocurrency empirical study focused on evaluating their distribution functions
(Elsevier, 2022-02-14) López Martín, Carmen; Arguedas Sanz, Raquel; Benito Muela, Sonia
This paper thoroughly examines the statistical properties of cryptocurrency returns, particularly focusing on studying which is the best statistical distribution for fitting this type of data. The preliminary statistical study reveals (i) high volatility, (ii) an inverse leverage effect, (iii) skewed distributions and (iv) high kurtosis. To capture the nonnormal characteristics observed in cryptocurrency data, we verified the goodness of fit of a large set of distributions, both symmetric and skewed distributions such as skewed Student-t, skewed generalized t, skewed generalized error and the inverse hyperbolic sign distributions. The results show that the skewed distributions outperform normal and Student-t distributions in fitting cryptocurrency data, although there is no one skewed distribution that systematically better fits the data. In addition, we compare these distributions in terms of their ability to forecast the market risk of cryptocurrencies. In line with the results obtained in the statistical analysis, we find that the skewed distributions provide better risk estimates than the normal and Student-t distributions, both in short and long positions, with SGED being the distribution that provides better results.
A Rebato: Popular uprisings and the striking of the bells in eighteenth-century Castile
(2023-08-18) Hernández Benítez, Mauro
This paper delves into the dynamics of popular revolt in early modern Castile, taking as a viewpoint a revealing feature of these disturbances, the bell-ringing widely known as rebato, an equivalent to the French tocsin. While alarm bells have long been recognised as a prevalent element of popular revolt in Europe from medieval times, they have received limited specific scholarly attention. This study provides an overview of the historical significance of this distinctive sound and examines its material aspects. Subsequently, the paper investigates several instances of bell-ringing during Castilian riots, as reflected in archival sources, and analyses its meaning both for townspeople and the authorities. In attempting to elucidate the reasons behind the aversion this sound provoked among the privileged classes and the authorities, the study explores the political, ritual, and sonic dimensions of the rebato.
A study on the deployment of high-speed broadband networks in NUTS3 regions within the framework of digital agenda for Europe
(Elsevier, 2018) Feijóo González, Claudio; Armuña, Cristina; Arenal, Alberto; Ramos Villaverde, Sergio; Gómez Barroso, José Luis
This paper investigates the high-speed broadband situation in the EU and its prospects. It uses a deployment model to estimate the investment required to meet the Digital Agenda for Europe (DAE) broadband targets set by the European Commission in its Europe 2020 strategy at different stages: as of 2016, after expected operators’ deployment, after public subsidies and leveraged investment, and as expected in 2020. The model uses data at the NUTS3 level, which is the most granular level that has data available on the status of broadband deployment, to arrive at a coherent and comparable framework. From the different perspectives on the investment to meet DAE targets, the paper concludes on the need for an appropriate combination of incumbent and alternative operators investments, public subsidies and leveraged investments, and new investments, both public and private and non-existing as of 2016, examining their feasibility and the impact of different regulatory, technical, and policy strategies.
Academic Performance in Distance Education: Quizzes as a Moderator Variable and Students' Perception and Expectation through Linguistic Analysis
(The Online Learning Consortium, 2022) Parte Esteban, Laura; Mellado Bermejo, Lucía
This study sheds light on the relation between assessment modalities and student behavior through linguistics styles, and academic performance. First, we examine the effect of assessment modalities (self-evaluation quizzes and summative quizzes) on academic performance. Using two modalities of online quizzes, we mainly focus on the student participation, student behavior (the work pacing and time management), type of assessment, and student characteristics. Second, we analyze the student behavior through linguistic styles and third, we examine the levels of anxiety and the expectation of success during the course. Specifically, we compare the linguistic styles of high performing students and low performing students and changes in anxiety levels and expectation of success. Methodologically, this study includes a static and dynamic perspective and combines quantitative analysis with a qualitative approach. The participants are students enrolled in Managerial Accounting for Tourism course in the academic year 2019-2020. The results show that both quizzes modalities are positively associated with academic performance. The linguistic analysis shows differences in the language between high performing students and low performing students. Finally, a pattern of changes on the students' expectations of success and levels of anxiety are identified during the course.
An academic perspective on the entrepreneurship policy agenda: themes, geographies and evolution
(Emerald Publishing, 2020-02-18) Arenal, Alberto; Feijoo, Claudio; Moreno, Ana; Armuña, Cristina; Ramos Villaverde, Sergio
Purpose Academic research into entrepreneurship policy is particularly interesting due to the increasing relevance of the topic and since knowledge about the evolution of themes in this field is still rather limited. The purpose of this paper is to analyse the key concepts, topics, trends and shifts that have shaped the entrepreneurship policy research agenda during the period 1990–2016. Design/methodology/approach This paper uses text mining techniques, cluster analysis and complementary bibliographic data to examine the evolution of a corpus of 1,048 academic papers focused on entrepreneurship-related policies and published during the period 1990–2016 in ten relevant journals. In particular, the paper follows a standard text mining workflow: first, as text is unstructured, content requires a set of pre-processing tasks and then a stemming process. Then, the paper examines the most repeated concepts within the corpus, considering the whole period 1990–2016 and also in five-year terms. Finally, the paper conducts a k-means clustering to divide the collection of documents into coherent groups with similar content. The analyses in the paper also include geographical particularities considering three regional sub-corpora, distinguishing those articles authored in the European Union (EU), the USA and South and Eastern Asia, respectively. Findings Results of the analysis show that inclusion, employment and regulation-related papers have largely dominated the research in the field, evolving from an initial classical approach to the relationship between entrepreneurship and employment to a wider, multidisciplinary perspective, including the relevance of management, geographies and narrower topics such as agglomeration economics or internationalisation instead of the previous generic sectorial approaches. The text mining analysis also reveals how entrepreneurship policy research has gained increasing attention and has become both more open, with a growing cooperation among researchers from different affiliations, and more sophisticated, with concepts and themes that moved the research agenda forward, closer to the priorities of policy implementation. Research limitations/implications The paper identifies main trends and research gaps in the field of entrepreneurship policy providing actionable knowledge by presenting the spectrum of both over-explored and understudied research themes in the field. In practical terms the results of the text mining analysis can be interpreted as a compass to navigate the entrepreneurship policy research agenda. Practical implications The paper presents the heterogeneity of topics under research in the field, reinforcing the concept of entrepreneurship as a multidisciplinary and dynamic domain. Therefore, the definition and adoption of a certain policy agenda in entrepreneurship should consider multiple aspects (needs, objectives, stakeholders, expected outputs, etc.) to be comprehensive and aligned with its complexity. In addition, the paper shows how text mining techniques could be used to map the research activity in a particular field, contributing to the challenge of linking research and policy. Originality/value The exploratory nature of text mining allows us to obtain new knowledge and reveals hidden patterns from large quantities of documents/text data, representing an opportunity to complement other qualitative reviews. In this sense, the main value of this paper is not to advise on the future configuration of entrepreneurship policy as a research topic, but to unwrap the past by unveiling how key themes of the entrepreneurship policy research agenda have emerged, evolved and/or declined over time as a foundation on which to build further developments.
The agricultural productivity gap: a global vision
(Taylor and Francis Group, 2022-06-20) González Esteban, Ángel Luis; Botella Rodríguez, Elisa; https://orcid.org/0000-0001-9604-4822
Productivity in agriculture tends to grow slower than in other sectors. This is a stylized fact that has resulted in a persistent productivity gap, generalized over time and across countries. This paper explores the evolution of this gap from an international perspective, identifying patterns in both developed and developing countries. Empirical regularities are discussed in the light of a literature review on the causes of the gap and its socio-economic effects. Reflections on the nature of the productivity gap often merge with considerations on its social implications and on the policies that should be implemented to deal with it. We refer to this wider political economy issue as the ‘farm problem’, and argue that it has not been given a satisfactory solution, neither in rich nor in developing countries. Although in some industrialized countries the discharging of the countryside has acted as a major source of convergence, there has not been a general reduction in the productivity gap between agriculture and the rest of the economy worldwide, nor are there compelling reasons to assume that this will happen in the future.
An application of extreme value theory in estimating liquidity risk
(Elsevier, 2017-12) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
Análisis de los modelos de integración de la información financiera y no financiera en los grupos cotizados del IBEX 35
(Universidade de Santiago de Compostela, 2021-06-09) Ibáñez Jiménez, Eva María
Since 2018, the obligation to prepare the non-financial information statement (NFI) has been revolutionizing the way in which large Spanish companies structure all their corporate information. Our research aims to identify the new financial and non-financial information integration models in the praxis of the groups listed on the IBEX 35. The reports referring to 2018 have been analyzed: accounting or financial in the strict sense, i.e. audited consolidated annual accounts and management re-ports –including the NFI statement–, and non-financial, i.e. integrated and/or sustainability reports. The results obtained evi-dence a high level of reporting dispersion. Three basic reporting models and up to seven alternative subcategories have been identified. Other results show the rise of the integrated report to the detriment of the sustainability report, the conversion of these voluntary or non-financial reports into legal or partially legal reports, and the constraints regarding the scope of the NFI statement´s verifiability.
Análisis económico del Corredor Ferroviario Mediterráneo en el marco de la Red Transeuropea de Transporte
(Asociación Universitaria Europea de Estudios Comunitarios, 2014) Muñoz Martínez, César; Barreiro Pereira, Fernando; Inglada López de Sabando, Vicente
En la última década las iniciativas gubernamentales, tanto nacionales como comunitarias, han potenciado el desarrollo de infraestructuras de transporte ferroviario con objeto de configurar un sistema de transportes sostenible desde el punto de vista medioambiental. El Corredor Mediterráneo es uno de los corredores incluidos como parte de la red básica en la lista de proyectos de prioritarios las Redes Transeuropeas de Transporte (RTE-T). El presente artículo realiza una estimación de los niveles esperados de demanda en los servicios ferroviarios prestados en la infraestructura con objeto de analizar si se alcanzarán los umbrales mínimos de demanda que harían rentable el proyecto y de contrastar el grado de cumplimiento de los objetivos oficiales en relación a la captación de los flujos de tráfico de mercancías desde la carretera al modo ferroviario en el área afectada por la infraestructura
Análisis estratégico de la industria de la construcción en España
(Instituto de Economía Aplicada a la Empresa, 2018-09-18) Martín García, Rodrigo
El sector de la construcción tiene, en España, una notable importancia, por su aportación al PIB (del entorno del 10,5%) y al empleo (en torno al 10%) y porque aglutina un amplio tejido empresarial. El deterioro de la situación económica y la saturación del mercado residencial han llevado a una fuerte contracción de la actividad constructiva, después una larga época de crecimiento. Es el momento idóneo, por tanto, para realizar un análisis estructural que permita identificar los determinantes de la rentabilidad y de valorar la proyección de las empresas que operan en el mismo. El presente trabajo identifica las reglas de competencia y las expectativas razonables de negocio para los próximos años, empleando para ello el Modelo de las Cinco Fuerzas Competitivas. Este análisis permitirá evaluar las oportunidades y dificultades que encontrarán las empresas constructoras, como instrumento en la toma de decisiones. El éxito de la estrategia dependerá de la gestión de las propias capacidades y fortalezas, especialmente en momentos de cambio en el ambiente competitivo.
Analysis of brand influence in the rockets and feathers effect using disaggregated data
(Elsevier, 2020-04-01) Palencia González, Francisco Javier; Navío Marco, Julio; Juberías Cáceres, Gema
This paper studies price asymmetries (the ‘rockets and feathers effect’) at the firm level using an approach that fundamentally differs from the previous literature. The research analyses the Spanish oil market, using more than 11 million daily price records from December, 23, 2014, to December 31, 2017. We apply the most common econometric approach to investigate asymmetry, the error correction model, and find asymmetries for all brands, either classic brands or low-cost flag brands. Classic brands make price adjustments in shorter periods, whereas supermarket brands, as well as independent and low-cost brands, correct prices only slowly. This research makes an original contribution to the study of the rockets and feathers phenomenon using brands as the units of analysis. The speed of price adjustments is especially relevant to understanding oil market price dynamics.
Analysis of the adoption of customer facing in-store technologies in retail SMEs
(Elsevier, 2020-11) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Brick and mortar stores are suffering the dramatic revolution of the retail sector. Customer facing in-store technologies (CFIST) are a key component of the inevitable transformation of retail stores; yet the reasons to adopt such technologies by business owners may be little known. Based on a TOE and TAM inspired framework, this study analyses the drivers of such decision by small and medium size enterprises using a survey methodology. The results show that the attitude towards technology is the strongest predictor of the intention to adopt CFIST, highlighting the role of the top management in technology decisions. This conclusion has important implications for practitioners. This research is the first to address the adoption of CFIST by SMEs and therefore set the path for further studies about the impact and adoption of in-store technology in SMEs.
An analysis of the behaviour of Spanish society regarding online privacy protection
(Federación Española de Sociología, 2020) Feijóo González, Claudio; Gómez Barroso, José Luis
La privacidad es un fenómeno social cuya descripción no ha recibido la atención que merece dada la creciente revelación y uso de información personal en relaciones privadas y públicas. A partir de una encuesta completada por 1.650 individuos, este artículo investiga las variables que definen a quienes muestran una mayor preocupación por la privacidad en internet y a aquellos que siguen unos hábitos que permiten un mejor control de los datos que ceden. Tener antecedentes de problemas con la seguridad o de irritación por la invasión de la esfera privada es en ambos casos la variable más significativa. Está acompañada por otros factores relacionados con la actividad en internet y experiencia en su uso; las variables socioeconómicas o demográficas juegan un papel secundario.
Analysis of the Influence of the Moment the Internationalization Process Begins on the Internationalization Intensity of Family and Nonfamily Businesses: An Approach Using a Tobit Model
(MDPI, 2022-10-10) Varas Fuente, Oscar Javier; Arguedas Sanz, Raquel; Rodrigo Moya, Beatriz
The specific characteristics of family businesses as well as the internationalization path followed can influence the intensity of the internationalization process. Many studies have analyzed how family character can influence the internationalization process of family businesses, and the results obtained have not been conclusive. Nevertheless, previous research has not sufficiently addressed the influence that the moment of initiation of the internationalization process has on the levels of internationalization achieved. Based on the behavioral agency model, the unique set of business resources (familiness), and the socioemotional wealth (SEW) perspective, this study examines, the internationalization intensity of family and nonfamily businesses in two defined groups (early internationalization and internationalization from the local market). Likewise, the effect that the entry of the second generation has on the internationalization of these companies is analyzed. To perform this analysis, Tobit regression models are estimated from a data set of panel data from the Spanish Survey on Business Strategies for small and medium-sized Spanish family businesses from 2005 to 2016, finding that family ownership and management have a negative influence on the intensity of exports, regardless of the path of internationalization followed, and that the entry of new generations has a positive relationship with the level of internationalization of these businesses. Finally, implications of the findings for research and management are discussed.
Analyzing disability in socially responsible companies
(Springer Link, 2017-01-01) Saavedra Robledo, Irene; Segovia San Juan, Ana Isabel; Fernández de Tejada Muñoz, Victoria
The incorporation of People with Disability (PWD) in organizations is a subject taken up by international organizations, such as the European Union and the United Nations, which has had subsequent consequences in Spain with the development of legislation and specific initiatives. In this paper we have considered the concept of disability as part of diversity and, above all, as a fundamental subject of human rights and justice, which has allowed us to include the collective of PWD among the stakeholders of companies. The research on the incorporation of disability as an integral part of the policies of Corporate Social Responsibility (CSR) in companies is very recent, although the term Corporate Social Responsibility and Disability is already used. The main objective of this paper is to analyze the commitment with PWD of Spanish companies considered socially responsible by the sustainability indices used. We have included in four large dimensions (Stakeholders, Visibility, Human Resources and Accessibility) the indicators that have allowed us to analyze the information on PWD published by these companies in their sustainability reports or similar documents accessible through their websites. The results suggest that the companies are more concerned about improving their image towards the exterior than for the commitment with their own employees, which is consistent with the dimension Visibility being where the companies carry out more actions in favor of PWD.
Are retailers leveraging in-store analytics? An exploratory study
(Emerald, 2022-05-03) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Purpose The purpose of this study is to analyse the level of adoption of in-store analytics by brick-and-mortar retailers. Web analytics technology has been widely adopted by online retailers, and the technology to gather similar information in physical stores is already available. This study explores how such technology is valued and adopted by retailers. Design/methodology/approach This study is based on interviews and a focus group of 21 retail executives using a semi-structured interview methodology. An in-store analytics service was defined, along with specific key performance indicators (KPIs) and use cases to structure respondents' feedback. Findings Although noteworthy differences have been found in the value of KPIs and use cases by type of business, the main finding is that none of the respondents reached the stage of a brick-and-mortar data-driven company. In-store analytics services are in the early stages of Rogers' (1983) model of diffusion of innovations. Three main reasons are presented: lack of technology knowledge, budget priority and a data culture inside the companies. Practical implications The results should encourage scholars to further investigate the drivers accelerating the adoption of these technologies. Practitioners and solution providers should strive for improvement in the simplicity of their solutions. Originality/value This study is the first to analyse the level of adoption of in-store analytics from the perspective of retailers.
Are social and financial exclusion two sides of the same coin? An analysis of the financial integration of vulnerable people
(Springer, 2018) Fernández Olit, Beatriz; Paredes Gázquez, Juan Diego; Cuesta González, Marta María de la
The economic crisis has increased the inequality and heterogeneity of people at risk of social exclusion, and thus their financial vulnerability. This article reviews the literature on the determinants of unbanking and underbanking and proposes a model linking financial and social exclusion. We aimed to determine if people at risk of poverty and social exclusion are integrated -and to what extent- in the financial system. To answer this question, we identified the demographic and the social exclusion factors that determine both the status of financial vulnerability and the use of banking services. We used multivariate analysis methods to analyze the information from the survey on social vulnerability conducted by the Red Cross Spain in 2015. Our results show a negative relationship between the risk of social exclusion and the intensity of use of banking services. This leads to financial vulnerability and exclusion in the most extreme situations. We suggest that underbanking is the most relevant - but not previously studied- situation of financial vulnerability in Europe and discuss its implications for policymakers. This paper contributes to the measurement of the link between financial and social exclusion, and is the first quantitative study on the use of banking products by vulnerable people in a European context.
An assessment of estimation models and investment gaps for the deployment of high-speed broadband networks in NUTS3 regions to meet the objectives of the European Gigabit Society
(Elsevier, 2021-07) Ferrandis, Jesús; Ramos Villaverde, Sergio; Feijóo, Claudio
This paper analyses the deployment of high-speed broadband networks in the European Union (EU). Its aim is to assess the investment required to meet the targets set by the European Commission (EC) for 2025, within the framework of the European Gigabit Society (EGS). This plan aims to ensure the availability and take-up of very high-capacity fixed and wireless networks, in both urban and rural areas, among households and the main socio-economic drivers. The estimation model presented here uses a methodology supported by data at the local (NUTS3) level to give a bottom-up estimation of the investment gap for each of the EGS objectives, using three different scenarios depending on the mix of wired and wireless technologies offered. The methodology and estimation model used in the paper are examined against other examples and assumptions available in the literature. We also offer a dynamic perspective on the analysis of the evolution of this investment gap over the years 2017–2019, which includes an assessment of the usefulness of these estimation models. The paper concludes by identifying the need for new measures to attract investment from public and private sources, mostly in rural areas, since purely market-driven initiatives fall short by about two-thirds of the required total investment. We also highlight how estimation models, despite their apparent complexity and number of assumptions, have a proven capacity to provide sufficiently accurate figures to guide policy action at the local, regional, national and supra-national levels. The usefulness of these estimation models could be enhanced by the availability of homogeneous and stable information on socio-demographics and on the level of coverage and take-up of broadband networks, at least at NUTS3 level.
Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
(Elsevier, 2022) González Sánchez, Mariano
The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging equity markets, we find that the information portfolio built from the stochastic discount factor shows better goodness of fit of emerging market and, only the factor that accounts value stocks versus growth stocks is relevant to emerging equity markets, specifically, it is a sensitivity measure at risk.

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